Weekly Top 5 Papers – March 18, 2011

1. A Quantitative Approach to Tactical Asset Allocation
by Mebane T. Faber (Cambria Investment Management)

2. The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading
by David Easley (Cornell University – Department of Economics) and Marcos Mailoc Lopez de Prado (Tudor Investment Corp.; RCC at Harvard University) and Maureen O’Hara (Cornell University – Samuel Curtis Johnson Graduate School of Management)

3. Momentum in Japan: The Exception that Proves the Rule
by Clifford S. Asness (AQR Capital Management, LLC)

4. Flow Toxicity and Volatility in a High Frequency World
by David Easley (Cornell University – Department of Economics) and Marcos Mailoc Lopez de Prado (Tudor Investment Corp.; RCC at Harvard University) and Maureen O’Hara (Cornell University – Samuel Curtis Johnson Graduate School of Management)

5. What is Marriage?
by Sherif Girgis (Princeton University Department of Philosophy) and Robert George (Princeton University – Department of Politics) and Ryan T. Anderson (University of Notre Dame Department of Political Science)

Enhanced by Zemanta
Share